Average Volume by Time Indicator for Think or Swim

Here’s two studies that show you how the current day’s volume bars are comparing to the same bars from the recent past. There are no inputs to these studies–they are all automatic. They only work on intraday charts. They are designed to be used for the current day only, so there is no historical record.

The time period for averaging is dependent on how you set up the chart. The minimum supported is 5 minute bars. If you put up a 5 days, 5-min chart, you’ll get the average volume for each bar over the last 4 days (ignores today). A 20 day, 15 minute chart will give the average volume of each specific 15 min bar over the last 19 days. Hopefully that makes sense; just put up as many days of data as you want averaged. (In reality, these studies are plotting average volume by bar. But if you plot them on a time-based chart, say 5-min, then you are seeing average volume by 5-min time period. Because of this, if you put it on a tick chart, the time linkage is gone. Instead, you are seeing only bar-for-bar comparisons. Just so you know.)

“AverageVolumeByTime.ts” will plot on top of the normal volume panel. It’s just the straight volume compared to the average volume seen at that bar in the past (gray shaded region). If the volume is above average, the bar is yellow, and if not it is light gray. “RelativeAverageVolumeByTime.ts” plots in a lower panel of its own, and shows the percentage of average volume for the current bar, so if all bars were at their own average volume, you’d get 100% across the board (the gray region). The bar painting is the same as for the Average Volume study.

Here’s a plot for ES yesterday, when we saw that huge volume spike come in around 11:30 ET:

In the Relative Volume study, you can see that we had a 600%(!) of normal volume bar near 12:15 ET. I remarked on twitter that this had to be a capitulation, which it was, temporarily.

These studies are free. You can download both studies in “AverageVolumeByTime.zip” from “Released Thinkscript Studies” from my Google site.

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12 Responses to “Average Volume by Time Indicator for Think or Swim”

  1. Cumulative Volume By Time Indicator for Think or Swim « Read the Prospectus Says:

    […] Read the Prospectus Trading, Think or Swim, Ninjascript and other Rocket Science « Average Volume by Time Indicator for Think or Swim […]

  2. Donna Says:

    I would like to know if you are familiar with the Demark Indicators. Do you have any studies for members?

  3. Prospectus Says:

    I’m familiar with some Demark indicators. I have only tried to duplicate the TD Pressure in the past, but I didn’t like my results and didn’t think I captured the intent right. I didn’t have source code, just a verbal description from an article, though.

  4. Prospectus – Cumulative Volume By Time Indicator for Think or Swim » ThinkOrSwim | marketHEIST.com Says:

    […] indicator is similar to the Relative Average Volume by Time script I did. Rather than comparing the current bar’s volume to the average volume for the same […]

  5. Prospectus – Average Volume by Time Indicator for Think or Swim » ThinkOrSwim | marketHEIST.com Says:

    […] […] Continue to Average Volume by Time Indicator for Think or Swim […]

  6. Loren Judson Says:

    This is AWESOME!!!!!

    Is there anyway to make the previous days volume (currently CYAN) match the color of the bars?

    For example the current day will still be gray and yellow, but behind that could be green or red pending on if it was an up or down bar, just like ToS normal volume pane.

    I just found your site and this is amazing!!!! Thank you so much for everything!!!! I will be donating.

  7. TheStudentLoanRanger Says:

    This indicator has been very useful for me lately. I find it most useful when looking for a second wave of accumulation following bull flags or consolidation rectangles. Great barometer for checking the strength of the move. Thanks so much!

  8. Adrian Says:

    Appreciate the creative stuff your doing here. Gives me some new perspectives on trading the minis.



  9. Average Range By Time Study for Think or Swim « Read the Prospectus Says:

    […] an adaptation of the Average Volume by Time indicator that a donor wanted me to make. He generously allowed me to share the script with you […]

  10. NJAquaman Says:

    When i turn on extended seasons it shows up from 1:00 to 7:40
    this seems to be an offset, what can i do in the code to correct list issue?

  11. prospectrdv Says:

    Thanks for your article

  12. JMR Says:

    These studies are wonderful and just what I was looking for, but I noticed they don’t seem to work when “Show Extended Hours” is checked … it gets misaligned somehow. Does anyone know of an easy fix for this?

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